Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1997 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 55.00%
VGTSX Vanguard Total Intl Stock Index Inv 45.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DFSVX DFA US Small Cap Value I 55.00%
DISVX DFA International Small Cap Value I 45.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$48,234 6.82% 15.87%35.40%-40.22%-54.41% 0.370.520.97
Portfolio 2$10,000$63,215 8.04% 18.56%62.59%-38.99%-59.30% 0.400.570.86
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 10.64%-1.41%4.66%5.36%8.31%8.62%6.82%
Portfolio 22.31%-19.40%-13.62%-7.12%1.19%5.73%8.04%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to October
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)DFA US Small Cap Value I (DFSVX)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19971.70%16.70%6.69%$11,670$10,66930.99%-0.77%30.75%-22.72%
19981.61%19.82%-1.64%$13,982$10,49423.26%15.60%-7.30%5.27%
19992.68%26.56%15.74%$17,696$12,14623.81%29.92%13.05%19.04%
20003.39%-12.84%3.57%$15,424$12,579-10.57%-15.61%9.01%-3.08%
20011.55%-15.10%10.39%$13,095$13,886-10.97%-20.15%22.65%-4.59%
20022.38%-18.32%-2.49%$10,696$13,540-20.96%-15.08%-9.27%5.79%
20031.88%35.40%62.59%$14,482$22,01531.35%40.34%59.40%66.48%
20043.26%16.26%29.63%$16,837$28,53712.51%20.84%25.39%34.80%
20053.42%10.30%14.74%$18,571$32,7425.98%15.57%7.79%23.23%
20062.54%20.52%24.63%$22,381$40,80615.51%26.64%21.55%28.39%
20074.08%10.00%-4.58%$24,620$38,9365.49%15.52%-10.75%2.95%
20080.09%-40.22%-38.99%$14,719$23,756-37.04%-44.10%-36.79%-41.68%
20092.72%32.31%36.27%$19,475$32,37228.70%36.73%33.62%39.51%
20101.50%14.41%25.14%$22,280$40,51117.09%11.12%30.90%18.10%
20112.96%-6.02%-12.01%$20,938$35,6460.96%-14.56%-7.55%-17.46%
20121.74%17.10%21.96%$24,519$43,47516.25%18.14%21.72%22.26%
20131.50%25.11%37.88%$30,676$59,94533.35%15.04%42.38%32.39%
20140.76%4.93%-0.33%$32,188$59,74812.43%-4.24%3.48%-4.99%
20150.73%-1.81%-2.50%$31,607$58,2530.29%-4.37%-7.81%3.99%
20162.07%8.99%19.15%$34,447$69,40612.53%4.65%28.26%8.00%
20172.11%23.91%16.56%$42,682$80,89821.05%27.40%7.21%27.98%
20181.91%-9.39%-18.81%$38,674$65,681-5.26%-14.44%-15.13%-23.31%
20192.29%26.50%19.42%$48,923$78,43530.65%21.43%18.12%21.00%
20201.29%-1.41%-19.40%$48,234$63,2153.15%-6.98%-19.89%-18.81%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)DFA US Small Cap Value I (DFSVX)DFA International Small Cap Value I (DISVX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199711.94%0.29%$10,194$10,0295.46%-2.37%2.54%-2.47%
199720.72%0.37%$10,267$10,066-0.11%1.82%0.00%0.84%
19973-2.56%-1.85%$10,005$9,879-4.45%-0.10%-2.65%-0.84%
199742.58%-1.26%$10,263$9,7554.50%0.20%-0.41%-2.32%
199756.86%8.24%$10,966$10,5597.10%6.54%9.46%6.69%
199764.82%4.20%$11,494$11,0024.37%5.40%6.25%1.52%
199775.07%1.82%$12,077$11,2027.77%1.59%5.98%-3.88%
19978-5.78%0.30%$11,378$11,236-3.72%-8.60%3.52%-4.56%
199795.66%4.08%$12,023$11,6945.77%5.51%7.69%-1.85%
199710-5.73%-3.70%$11,334$11,261-3.40%-9.10%-3.55%-3.98%
1997111.55%-3.55%$11,509$10,8623.33%-1.19%-0.85%-8.41%
1997121.40%-1.77%$11,670$10,6691.70%0.92%0.09%-5.41%
199811.61%2.54%$11,858$10,9400.44%3.04%-1.23%7.16%
199827.13%8.68%$12,704$11,8907.34%6.88%7.54%9.96%
199834.22%3.10%$13,240$12,2585.06%3.22%4.07%2.03%
199840.84%0.20%$13,352$12,2821.10%0.53%1.93%-1.75%
19985-2.17%-2.50%$13,062$11,975-2.71%-1.51%-3.83%-0.95%
199861.82%-2.40%$13,300$11,6883.54%-0.27%-1.97%-2.88%
19987-0.79%-5.37%$13,195$11,060-2.27%1.08%-7.37%-3.09%
19988-14.75%-14.86%$11,248$9,416-15.65%-13.66%-18.43%-10.97%
199892.68%0.13%$11,549$9,4286.68%-2.07%2.84%-2.58%
1998108.93%5.19%$12,581$9,9177.51%10.77%4.26%6.18%
1998115.80%4.87%$13,311$10,4016.17%5.34%5.30%4.43%
1998125.04%0.89%$13,982$10,4946.45%3.26%2.32%-0.59%
199911.72%-0.08%$14,223$10,4853.65%-0.63%1.56%-2.09%
19992-3.04%-5.17%$13,791$9,943-3.73%-2.16%-8.24%-1.28%
199934.39%1.68%$14,397$10,1103.93%4.97%-1.92%5.91%
199944.86%10.52%$15,096$11,1734.68%5.08%10.68%10.34%
19995-3.34%2.04%$14,592$11,400-2.00%-5.00%4.69%-0.86%
199964.82%6.33%$15,295$12,1225.16%4.39%6.11%6.59%
19997-0.80%1.28%$15,172$12,277-3.20%2.27%-0.45%3.27%
19998-0.36%-1.23%$15,118$12,127-0.92%0.33%-2.74%0.45%
19999-0.96%-1.65%$14,974$11,926-2.44%0.82%-2.67%-0.56%
1999105.11%-2.64%$15,738$11,6126.29%3.74%-3.42%-1.81%
1999113.72%1.22%$16,324$11,7543.42%4.08%4.53%-2.19%
1999128.41%3.33%$17,696$12,1467.59%9.37%5.73%0.67%
20001-5.10%-1.12%$16,794$12,010-4.18%-6.22%-0.75%-1.56%
200022.67%4.03%$17,243$12,4942.54%2.83%9.28%-2.44%
200034.70%1.80%$18,053$12,7195.69%3.48%0.30%3.87%
20004-5.30%-4.69%$17,097$12,123-5.21%-5.41%-3.51%-6.25%
20005-3.08%-1.75%$16,570$11,910-3.41%-2.67%-4.16%1.54%
200064.35%6.61%$17,291$12,6974.42%4.27%4.98%8.71%
20007-3.06%-1.71%$16,762$12,480-1.95%-4.46%-0.10%-3.72%
200084.55%4.97%$17,525$13,1007.28%1.00%7.40%1.81%
20009-4.81%-2.42%$16,682$12,782-4.67%-5.00%-1.85%-3.20%
200010-2.46%-4.40%$16,272$12,220-2.04%-3.03%-3.78%-5.26%
200011-7.63%-2.64%$15,030$11,897-9.90%-4.44%-5.44%1.29%
2000122.62%5.73%$15,424$12,5791.78%3.72%7.73%3.10%
200112.60%6.91%$15,825$13,4483.83%1.10%10.31%2.75%
20012-8.61%-0.65%$14,462$13,361-9.41%-7.61%-1.92%1.02%
20013-6.91%-3.65%$13,462$12,873-6.72%-7.15%-2.46%-5.18%
200148.04%6.70%$14,545$13,7358.16%7.89%6.12%7.46%
20015-1.01%3.69%$14,397$14,2421.01%-3.52%6.16%0.50%
20016-2.59%1.80%$14,024$14,498-1.64%-3.84%3.74%-0.86%
20017-2.02%-1.88%$13,740$14,226-1.71%-2.43%-1.63%-2.24%
20018-4.42%0.09%$13,133$14,239-6.00%-2.30%-1.34%2.16%
20019-9.75%-13.05%$11,852$12,381-9.00%-10.73%-14.56%-10.96%
2001102.72%3.44%$12,174$12,8072.52%2.97%3.93%2.80%
2001115.86%4.72%$12,888$13,4117.63%3.56%7.81%0.54%
2001121.60%3.54%$13,095$13,8861.78%1.35%7.02%-1.50%
20021-2.77%0.40%$12,732$13,942-1.24%-4.63%1.54%-0.99%
20022-0.74%1.68%$12,637$14,176-2.05%0.90%-0.16%3.98%
200234.98%7.56%$13,266$15,2484.38%5.71%9.86%4.79%
20024-2.49%4.26%$12,935$15,898-4.90%0.42%4.53%3.92%
20025-0.11%1.01%$12,921$16,058-1.22%1.16%-3.15%6.28%
20026-5.75%-1.93%$12,178$15,747-7.06%-4.28%-2.07%-1.77%
20027-8.87%-10.81%$11,097$14,044-8.02%-9.80%-15.60%-5.29%
200280.22%-0.76%$11,122$13,9370.53%-0.12%-1.25%-0.25%
20029-10.45%-6.95%$9,960$12,968-10.07%-10.88%-7.28%-6.62%
2002106.73%0.34%$10,630$13,0127.65%5.70%1.62%-0.95%
2002115.45%5.42%$11,209$13,7176.06%4.75%8.52%2.20%
200212-4.58%-1.29%$10,696$13,540-5.57%-3.43%-3.58%1.23%
20031-3.09%-1.77%$10,366$13,300-2.54%-3.76%-3.45%0.27%
20032-2.02%-1.97%$10,157$13,037-1.69%-2.42%-4.11%0.54%
20033-0.26%-0.56%$10,131$12,9651.09%-1.93%-0.21%-0.94%
200348.86%10.08%$11,029$14,2718.21%9.70%10.56%9.52%
200356.13%10.95%$11,705$15,8336.11%6.15%11.72%10.06%
200361.97%4.57%$11,936$16,5571.43%2.66%3.65%5.64%
200372.72%5.65%$12,260$17,4922.36%3.18%7.04%4.06%
200382.44%5.33%$12,560$18,4242.39%2.51%5.14%5.54%
200390.61%2.19%$12,636$18,826-1.15%2.78%-0.78%5.64%
2003106.29%7.95%$13,431$20,3236.12%6.49%10.00%5.71%
2003111.72%2.42%$13,662$20,8151.38%2.13%4.16%0.44%
2003126.00%5.76%$14,482$22,0154.48%7.80%5.33%6.27%
200411.95%5.43%$14,764$23,2112.23%1.60%4.89%6.10%
200421.91%2.16%$15,046$23,7131.43%2.50%1.41%3.07%
20043-0.38%2.43%$14,988$24,290-1.07%0.45%0.94%4.20%
20044-2.58%-3.33%$14,602$23,480-2.11%-3.14%-3.17%-3.52%
200450.95%-0.26%$14,740$23,4201.35%0.46%0.38%-0.99%
200462.23%5.71%$15,068$24,7572.09%2.40%6.69%4.55%
20047-3.59%-4.49%$14,527$23,645-3.80%-3.34%-5.33%-3.48%
200480.51%-0.24%$14,601$23,5890.31%0.75%-1.49%1.23%
200492.29%3.87%$14,936$24,5011.74%2.96%4.93%2.66%
2004102.39%2.02%$15,293$24,9971.68%3.24%0.96%3.26%
2004115.85%9.42%$16,188$27,3514.68%7.23%10.00%8.75%
2004124.01%4.34%$16,837$28,5373.63%4.44%3.62%5.16%
20051-2.22%-0.71%$16,463$28,335-2.68%-1.67%-3.57%2.79%
200523.25%3.65%$16,999$29,3692.07%4.68%2.70%4.74%
20053-2.29%-1.48%$16,609$28,935-1.75%-2.93%-1.95%-0.94%
20054-2.21%-4.76%$16,243$27,559-2.32%-2.07%-7.28%-1.95%
200552.09%2.68%$16,582$28,2993.77%0.08%6.65%-1.49%
200561.03%3.32%$16,752$29,2380.81%1.30%4.17%2.35%
200573.91%5.58%$17,408$30,8704.11%3.68%7.11%3.80%
200580.76%0.87%$17,540$31,137-0.94%2.85%-1.67%3.90%
200592.62%1.52%$18,000$31,6100.86%4.73%0.80%2.34%
200510-2.56%-2.64%$17,539$30,776-1.86%-3.37%-2.92%-2.32%
2005113.37%3.09%$18,129$31,7283.97%2.67%4.21%1.86%
2005122.43%3.20%$18,571$32,7420.14%5.14%0.34%6.44%
200615.02%8.15%$19,502$35,4113.50%6.87%8.82%7.33%
20062-0.33%-0.10%$19,438$35,3760.00%-0.72%-0.35%0.21%
200632.43%5.50%$19,909$37,3221.80%3.17%6.09%4.77%
200642.95%2.39%$20,498$38,2151.11%5.12%0.98%4.15%
20065-3.80%-4.58%$19,718$36,467-3.23%-4.45%-4.39%-4.80%
20066-0.09%-0.81%$19,701$36,1700.17%-0.38%0.05%-1.86%
200670.47%-2.23%$19,793$35,362-0.13%1.15%-3.75%-0.36%
200682.41%2.22%$20,271$36,1472.31%2.53%1.95%2.55%
200691.32%1.08%$20,538$36,5382.27%0.25%1.19%0.95%
2006103.75%4.96%$21,308$38,3483.53%4.00%5.43%4.39%
2006112.93%3.85%$21,932$39,8242.23%3.73%3.03%4.83%
2006122.05%2.47%$22,381$40,8061.13%3.09%1.38%3.75%
200711.47%2.41%$22,709$41,7901.88%0.96%2.20%2.67%
20072-0.87%0.69%$22,513$42,077-1.61%0.06%-0.23%1.81%
200731.87%2.57%$22,934$43,1601.11%2.80%1.09%4.35%
200743.97%2.35%$23,845$44,1734.01%3.92%1.81%2.97%
200753.42%2.84%$24,660$45,4253.69%3.09%3.65%1.91%
20076-0.63%-1.03%$24,503$44,959-1.67%0.61%-1.55%-0.42%
20077-2.33%-4.20%$23,933$43,069-3.41%-1.06%-7.64%-0.25%
200780.44%-2.38%$24,038$42,0451.45%-0.72%-0.76%-4.10%
200794.88%0.85%$25,211$42,4013.59%6.38%-0.28%2.08%
2007103.74%2.48%$26,155$43,4511.85%5.90%1.11%3.94%
200711-4.53%-8.43%$24,971$39,789-4.49%-4.57%-8.72%-8.12%
200712-1.40%-2.15%$24,620$38,936-0.60%-2.28%-1.20%-3.12%
20081-7.19%-5.14%$22,850$36,936-6.08%-8.55%-3.94%-6.60%
20082-1.56%-0.61%$22,493$36,710-3.07%0.33%-2.84%2.19%
20083-0.64%0.88%$22,348$37,035-0.58%-0.71%0.84%0.93%
200845.40%1.68%$23,554$37,6555.02%5.85%1.66%1.70%
200851.83%3.25%$23,985$38,8802.09%1.51%4.14%2.20%
20086-8.55%-9.49%$21,934$35,192-8.19%-8.99%-10.10%-8.74%
20087-2.07%-0.89%$21,479$34,877-0.77%-3.67%2.07%-4.44%
20088-1.37%0.92%$21,184$35,1971.58%-5.10%4.15%-3.22%
20089-10.89%-10.05%$18,877$31,661-9.26%-13.09%-6.89%-14.39%
200810-19.48%-21.99%$15,199$24,699-17.63%-22.09%-22.14%-21.76%
200811-7.25%-10.00%$14,097$22,229-7.90%-6.29%-12.99%-5.55%
2008124.41%6.87%$14,719$23,7561.86%8.16%5.25%9.09%
20091-9.92%-11.65%$13,259$20,989-8.26%-11.96%-14.28%-8.43%
20092-10.07%-11.91%$11,924$18,490-10.45%-9.58%-12.71%-10.99%
200938.95%8.57%$12,991$20,0758.65%9.31%10.40%6.52%
2009411.57%18.06%$14,494$23,70210.61%12.78%19.66%16.21%
200959.40%8.02%$15,857$25,6035.38%14.35%3.22%13.77%
20096-0.44%0.03%$15,787$25,6090.34%-1.32%0.35%-0.33%
200978.81%11.47%$17,179$28,5467.82%9.96%13.44%9.31%
200983.57%6.79%$17,792$30,4843.63%3.50%5.14%8.66%
200994.66%5.56%$18,620$32,1794.23%5.15%6.33%4.71%
200910-2.38%-5.68%$18,177$30,351-2.57%-2.17%-7.53%-3.62%
2009114.79%1.87%$19,048$30,9185.63%3.86%3.11%0.54%
2009122.24%4.70%$19,475$32,3722.86%1.53%7.92%1.17%
20101-4.20%-2.60%$18,656$31,530-3.50%-5.07%-3.16%-1.92%
201021.96%2.94%$19,022$32,4563.36%0.22%6.15%-0.95%
201036.46%8.54%$20,251$35,2276.27%6.71%8.86%8.12%
201040.47%5.13%$20,346$37,0352.17%-1.71%8.11%1.26%
20105-9.20%-11.39%$18,475$32,817-8.00%-10.78%-9.90%-13.46%
20106-3.76%-6.82%$17,780$30,579-5.66%-1.17%-10.14%-2.01%
201078.44%9.13%$19,280$33,3726.99%10.33%8.69%9.73%
20108-4.07%-6.77%$18,495$31,111-4.75%-3.22%-8.38%-4.67%
201099.89%12.18%$20,324$34,9019.47%10.41%12.93%11.23%
2010103.76%3.71%$21,090$36,1963.94%3.55%4.17%3.13%
201011-1.70%1.29%$20,731$36,6650.58%-4.52%4.49%-2.85%
2010127.47%10.49%$22,280$40,5116.81%8.34%9.18%12.32%
201111.52%1.11%$22,618$40,9622.19%0.70%0.31%2.09%
201123.20%4.74%$23,342$42,9063.60%2.71%6.28%2.90%
201130.06%1.36%$23,356$43,4890.45%-0.43%2.05%0.50%
201143.98%2.60%$24,286$44,6212.99%5.24%1.26%4.30%
20115-1.93%-3.26%$23,819$43,165-1.16%-2.87%-3.12%-3.43%
20116-1.66%-1.98%$23,423$42,312-1.79%-1.51%-1.81%-2.18%
20117-1.95%-2.45%$22,966$41,276-2.28%-1.53%-2.88%-1.92%
20118-7.09%-10.10%$21,338$37,109-5.99%-8.45%-10.58%-9.51%
20119-9.74%-12.22%$19,258$32,573-7.75%-12.29%-12.58%-11.80%
20111010.96%12.08%$21,369$36,50711.51%10.22%15.82%7.61%
201111-1.39%-1.80%$21,072$35,851-0.29%-2.88%-0.68%-3.23%
201112-0.64%-0.57%$20,938$35,6460.80%-2.64%1.01%-2.66%
201216.07%8.59%$22,208$38,7085.08%7.27%7.43%10.01%
201224.66%4.44%$23,243$40,4284.26%5.14%3.18%5.96%
201231.32%1.29%$23,551$40,9523.07%-0.75%2.30%0.13%
20124-1.16%-2.14%$23,278$40,076-0.65%-1.78%-1.60%-2.78%
20125-8.42%-9.66%$21,318$36,204-6.24%-11.14%-7.12%-12.72%
201264.83%4.62%$22,347$37,8773.91%6.03%4.38%4.93%
201270.78%-0.26%$22,520$37,7781.03%0.44%-0.24%-0.29%
201282.59%3.98%$23,103$39,2802.48%2.72%4.21%3.67%
201293.03%3.91%$23,804$40,8172.58%3.62%3.31%4.67%
201210-0.74%-0.05%$23,627$40,798-1.76%0.56%-0.82%0.93%
2012111.22%1.64%$23,915$41,4670.74%1.82%1.84%1.39%
2012122.53%4.84%$24,519$43,4751.19%4.17%3.72%6.24%
201314.53%5.92%$25,629$46,0485.50%3.34%6.56%5.13%
201320.16%1.24%$25,670$46,6181.28%-1.23%1.75%0.60%
201332.52%3.63%$26,316$48,3113.88%0.77%4.91%2.04%
201342.51%0.62%$26,977$48,6101.70%3.58%-1.11%2.84%
201350.02%2.10%$26,983$49,6322.32%-2.95%5.39%-1.97%
20136-2.32%-1.71%$26,357$48,785-1.27%-3.75%-0.70%-3.04%
201375.10%7.39%$27,702$52,3895.49%4.56%7.34%7.46%
20138-2.33%-2.93%$27,057$50,855-2.82%-1.63%-4.17%-1.23%
201395.15%7.16%$28,450$54,4953.66%7.21%5.24%9.69%
2013103.88%3.81%$29,553$56,5704.22%3.41%3.51%4.18%
2013111.71%2.90%$30,059$58,2082.88%0.12%5.08%0.15%
2013122.05%2.98%$30,676$59,9452.63%1.25%2.72%3.33%
20141-3.86%-3.45%$29,493$57,880-3.11%-4.78%-5.14%-1.38%
201425.03%6.10%$30,975$61,4134.73%5.39%5.45%6.88%
201430.47%0.94%$31,119$61,9900.51%0.41%1.19%0.65%
201440.62%-1.23%$31,313$61,2280.06%1.31%-1.93%-0.42%
201452.04%0.81%$31,952$61,7232.17%1.88%0.83%0.79%
201462.18%3.10%$32,649$63,6382.54%1.74%4.44%1.57%
20147-1.81%-4.73%$32,057$60,628-1.98%-1.61%-5.76%-3.51%
201482.78%3.43%$32,948$62,7074.18%1.05%5.83%0.66%
20149-3.40%-6.45%$31,826$58,659-2.14%-5.01%-6.98%-5.82%
2014101.42%1.51%$32,278$59,5472.74%-0.31%4.61%-2.20%
2014111.28%-0.47%$32,691$59,2672.41%-0.25%-0.28%-0.72%
201412-1.54%0.81%$32,188$59,748-0.01%-3.65%2.29%-1.10%
20151-1.47%-3.01%$31,716$57,948-2.77%0.13%-4.95%-0.65%
201525.65%6.62%$33,509$61,7855.76%5.52%5.90%7.47%
20153-1.27%0.04%$33,084$61,809-1.04%-1.54%1.78%-1.96%
201542.54%1.56%$33,926$62,7740.42%5.08%-1.34%5.03%
201550.30%1.46%$34,029$63,6881.39%-0.94%1.36%1.56%
20156-2.16%-0.63%$33,293$63,286-1.71%-2.69%0.05%-1.39%
201570.52%-2.52%$33,464$61,6891.63%-0.80%-3.67%-1.23%
20158-6.60%-4.15%$31,256$59,131-6.03%-7.29%-4.04%-4.27%
20159-3.37%-4.26%$30,204$56,609-2.93%-3.90%-4.51%-3.99%
2015107.14%5.27%$32,359$59,5917.84%6.26%5.28%5.25%
201511-0.29%1.30%$32,267$60,3670.54%-1.32%3.17%-0.77%
201512-2.05%-3.50%$31,607$58,253-2.03%-2.07%-6.20%-0.39%
20161-5.63%-7.27%$29,826$54,015-5.67%-5.59%-7.18%-7.39%
20162-1.04%0.25%$29,515$54,151-0.04%-2.27%1.17%-0.87%
201637.53%8.44%$31,738$58,7237.01%8.19%8.77%8.04%
201641.34%2.52%$32,163$60,2010.63%2.22%1.80%3.41%
201650.52%-0.09%$32,332$60,1481.79%-1.02%0.47%-0.79%
20166-0.29%-3.13%$32,237$58,2620.23%-0.94%-1.16%-5.61%
201674.15%5.87%$33,576$61,6803.95%4.41%4.85%7.20%
201680.47%1.14%$33,734$62,3820.26%0.74%1.74%0.37%
201690.69%1.87%$33,966$63,5490.15%1.37%1.21%2.74%
201610-1.99%-2.12%$33,290$62,201-2.21%-1.72%-3.14%-0.82%
2016111.49%8.02%$33,784$67,1884.44%-2.15%14.87%-0.57%
2016121.96%3.30%$34,447$69,4061.92%2.02%3.41%3.15%
201712.79%1.65%$35,409$70,5491.91%3.87%-0.53%4.31%
201722.71%0.78%$36,367$71,0983.71%1.50%0.32%1.31%
201731.30%0.29%$36,842$71,3050.07%2.82%-1.14%1.94%
201741.57%1.44%$37,421$72,3331.05%2.20%0.46%2.54%
201751.93%-0.95%$38,142$71,6461.01%3.01%-3.51%1.86%
201760.74%2.21%$38,423$73,2270.92%0.52%2.59%1.81%
201772.59%2.24%$39,417$74,8631.87%3.42%0.77%3.77%
201780.38%-1.04%$39,565$74,0830.15%0.64%-2.55%0.49%
201792.15%5.53%$40,416$78,1802.45%1.81%7.92%3.18%
2017102.05%0.91%$41,246$78,8902.16%1.94%0.96%0.86%
2017111.99%1.12%$42,067$79,7743.04%0.78%2.12%0.09%
2017121.46%1.41%$42,682$80,8980.99%2.01%0.03%2.86%
201815.44%2.81%$45,002$83,1685.31%5.59%1.50%4.40%
20182-4.36%-4.79%$43,041$79,186-3.72%-5.14%-4.68%-4.92%
20183-1.39%-0.19%$42,444$79,031-1.99%-0.64%0.93%-1.54%
201840.58%1.63%$42,691$80,3190.38%0.83%1.32%2.00%
201850.67%2.15%$42,975$82,0432.79%-1.92%6.29%-2.88%
20186-0.54%-1.07%$42,745$81,1680.68%-2.08%0.06%-2.56%
201872.97%1.59%$44,012$82,4603.34%2.48%1.61%1.57%
201881.01%0.39%$44,458$82,7823.44%-2.19%2.84%-2.95%
201890.22%-1.70%$44,556$81,3780.16%0.30%-3.19%0.46%
201810-7.80%-9.63%$41,081$73,545-7.40%-8.35%-9.41%-9.93%
2018111.73%-0.25%$41,790$73,3612.06%1.26%0.91%-1.87%
201812-7.46%-10.47%$38,674$65,681-9.29%-4.85%-12.79%-7.13%
201918.13%9.98%$41,820$72,2358.59%7.58%12.00%7.51%
201922.70%3.01%$42,950$74,4123.50%1.72%3.27%2.68%
201931.12%-2.75%$43,431$72,3681.44%0.72%-3.66%-1.58%
201943.44%3.72%$44,925$75,0613.98%2.76%4.04%3.32%
20195-6.05%-9.88%$42,206$67,645-6.45%-5.55%-11.52%-7.81%
201966.47%6.58%$44,935$72,0996.97%5.83%7.77%5.15%
20197-0.02%-0.48%$44,925$71,7551.44%-1.89%0.39%-1.56%
20198-2.16%-5.59%$43,953$67,744-2.03%-2.35%-8.00%-2.54%
201992.14%4.91%$44,894$71,0691.70%2.72%5.96%3.65%
2019102.65%2.98%$46,084$73,1872.10%3.38%1.83%4.38%
2019112.61%2.49%$47,289$75,0063.77%1.11%3.17%1.67%
2019123.46%4.57%$48,923$78,4352.85%4.27%3.92%5.36%
20201-1.53%-6.16%$48,176$73,606-0.08%-3.30%-6.88%-5.27%
20202-7.53%-10.15%$44,547$66,134-8.18%-6.72%-10.79%-9.38%
20203-14.82%-24.84%$37,946$49,708-13.78%-16.11%-26.60%-22.76%
2020410.98%13.65%$42,113$56,49313.25%8.09%15.81%11.22%
202055.13%3.83%$44,274$58,6555.38%4.80%2.85%4.98%
202063.12%2.46%$45,653$60,1002.28%4.24%2.65%2.25%
202074.98%2.81%$47,926$61,7915.64%4.10%3.21%2.36%
202085.95%6.01%$50,778$65,5077.18%4.31%5.58%6.52%
20209-2.89%-3.91%$49,308$62,945-3.57%-1.96%-5.13%-2.51%
202010-2.18%0.43%$48,234$63,215-2.16%-2.21%3.95%-3.51%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value17.78%0.00%
Large-cap Growth27.76%0.00%
Mid-cap Value6.84%10.30%
Mid-cap Growth2.62%0.00%
Small-cap Value1.43%54.88%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets33.49%29.02%
Emerging Markets10.03%5.80%
Corporate Bonds0.06%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.80%96.48%
Style analysis is based on monthly returns from Apr 2005 to Oct 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend55.00%0.14%25.00$27,28953.05%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend45.00%0.17%17.46$10,94446.95%
100.00%0.15%21.61$38,234100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DFSVXDFA US Small Cap Value ISmall Value55.00%0.51%12.58$30,02160.06%
DISVXDFA International Small Cap Value IForeign Small/Mid Value45.00%0.64%11.74$23,19439.94%
100.00%0.57%12.20$53,215100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.66%0.79%
Arithmetic Mean (annualized)8.19%9.96%
Geometric Mean (monthly)0.55%0.65%
Geometric Mean (annualized)6.82%8.04%
Volatility (monthly)4.58%5.36%
Volatility (annualized)15.87%18.56%
Downside Deviation (monthly)3.22%3.75%
Max. Drawdown-54.41%-59.30%
US Market Correlation0.970.86
Beta(*)0.971.01
Alpha (annualized)-1.31%0.00%
R294.04%73.60%
Sharpe Ratio0.370.40
Sortino Ratio0.520.57
Treynor Ratio (%)6.047.45
Calmar Ratio0.24-0.18
Active Return-1.68%-0.46%
Tracking Error3.90%9.54%
Information Ratio-0.43-0.05
Skewness-0.76-0.83
Excess Kurtosis1.612.89
Historical Value-at-Risk (5%)-8.20%-9.96%
Analytical Value-at-Risk (5%)-6.87%-8.02%
Conditional Value-at-Risk (5%)-10.97%-13.11%
Upside Capture Ratio (%)93.7099.30
Downside Capture Ratio (%)100.52101.34
Safe Withdrawal Rate6.86%9.12%
Perpetual Withdrawal Rate4.58%5.70%
Positive Periods177 out of 286 (61.89%)177 out of 286 (61.89%)
Gain/Loss Ratio0.890.92
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-6.15%-8.77%
Russian Debt DefaultJul 1998Oct 1998-15.42%-19.44%
Dotcom CrashMar 2000Oct 2002-44.83%-19.24%
Subprime CrisisNov 2007Mar 2009-54.41%-57.45%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20134 years 1 month5 years 5 months-54.41%
2Apr 2000Sep 20022 years 6 monthsNov 20053 years 2 months5 years 8 months-44.83%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-22.44%
4May 1998Aug 19984 monthsDec 19984 months8 months-15.75%
5Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.06%
6Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.27%
7Aug 1997Oct 19973 monthsFeb 19984 months7 months-6.15%
8Jan 2000Jan 20001 monthMar 20002 months3 months-5.10%
9Sep 2020Oct 20202 months-5.01%
10May 2006Jun 20062 monthsSep 20063 months5 months-3.89%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsJan 20133 years 11 months5 years 8 months-59.30%
2Feb 2018Mar 20202 years 2 months-40.23%
3May 1998Aug 19984 monthsFeb 20001 year 6 months1 year 10 months-23.34%
4Jun 2002Mar 200310 monthsJun 20033 months1 year 1 month-19.26%
5Jun 2015Jan 20168 monthsNov 201610 months1 year 6 months-15.19%
6Jul 2001Sep 20013 monthsMar 20026 months9 months-14.61%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-9.18%
8Jul 2014Jan 20157 monthsMay 20154 months11 months-8.94%
9Oct 1997Dec 19973 monthsFeb 19982 months5 months-8.77%
10May 2006Jul 20063 monthsOct 20063 months6 months-7.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv8.50%15.80%33.35%-37.04%-50.89%0.470.671.00
VGTSXVanguard Total Intl Stock Index Inv4.48%17.27%40.34%-44.10%-58.50%0.230.310.86
DFSVXDFA US Small Cap Value I8.67%21.14%59.40%-36.79%-61.18%0.410.580.86
DISVXDFA International Small Cap Value I6.59%18.06%66.48%-41.68%-57.69%0.330.480.74

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXDFSVXDISVXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.000.860.860.740.970.86
VGTSXVanguard Total Intl Stock Index Inv0.861.000.760.890.960.87
DFSVXDFA US Small Cap Value I0.860.761.000.760.840.96
DISVXDFA International Small Cap Value I0.740.890.761.000.840.91

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$27,289
VGTSXVanguard Total Intl Stock Index Inv$10,944
DFSVXDFA US Small Cap Value I$30,021
DISVXDFA International Small Cap Value I$23,194

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv53.05%
VGTSXVanguard Total Intl Stock Index Inv46.95%
DFSVXDFA US Small Cap Value I60.06%
DISVXDFA International Small Cap Value I39.94%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.92%35.40%-40.22%11.43%62.59%-38.99%
3 years6.80%20.96%-15.45%10.33%34.22%-10.14%
5 years5.88%18.14%-1.73%10.46%24.06%-2.67%
7 years6.31%11.54%1.68%10.84%18.90%3.23%
10 years6.04%10.14%0.51%9.97%15.10%5.45%
15 years6.10%9.66%4.07%10.16%12.66%6.97%
Result statistics are based on annualized rolling returns over full calendar year periods